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Improve LUP decomposition wrapper, add Cholesky decomposition

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Iaroslav Postovalov 2021-01-24 14:15:41 +07:00
parent 7105b3662f
commit 472e2bf671
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1 changed files with 78 additions and 39 deletions
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117
kmath-gsl/src/nativeMain/kotlin/kscience/kmath/gsl/GslMatrixContext.kt
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@ -7,7 +7,6 @@ import kscience.kmath.operations.Complex
import kscience.kmath.operations.ComplexField import kscience.kmath.operations.ComplexField
import kscience.kmath.operations.toComplex import kscience.kmath.operations.toComplex
import kscience.kmath.structures.Matrix import kscience.kmath.structures.Matrix
import kscience.kmath.structures.toList
import org.gnu.gsl.* import org.gnu.gsl.*
import kotlin.reflect.KClass import kotlin.reflect.KClass
import kotlin.reflect.cast import kotlin.reflect.cast
@ -114,37 +113,41 @@ public class GslRealMatrixContext(internal val scope: AutofreeScope) :
@Suppress("IMPLICIT_CAST_TO_ANY") @Suppress("IMPLICIT_CAST_TO_ANY")
@UnstableKMathAPI @UnstableKMathAPI
public override fun <F : Any> getFeature(m: Matrix<Double>, type: KClass<F>): F? = when (type) { public override fun <F : Any> getFeature(m: Matrix<Double>, type: KClass<F>): F? = when (type) {
LupDecompositionFeature::class -> object : LupDecompositionFeature<Double> { LupDecompositionFeature::class, DeterminantFeature::class -> object : LupDecompositionFeature<Double>,
private val lup by lazy { DeterminantFeature<Double>, InverseMatrixFeature<Double> {
private val lups by lazy {
val lu = m.toGsl().copy() val lu = m.toGsl().copy()
val n = lu.rowNum val n = m.rowNum
val perm = gsl_permutation_alloc(n.toULong()) val perm = gsl_permutation_alloc(n.toULong())
scope.defer { gsl_permutation_free(perm) }
memScoped { val signum = memScoped {
val i = alloc<IntVar>() val i = alloc<IntVar>()
gsl_linalg_LU_decomp(lu.nativeHandle, perm, i.ptr) gsl_linalg_LU_decomp(lu.nativeHandle, perm, i.ptr)
i.value
} }
Triple(lu, perm, signum)
}
override val p by lazy {
val n = m.rowNum
val one = produce(n, n) { i, j -> if (i == j) 1.0 else 0.0 } val one = produce(n, n) { i, j -> if (i == j) 1.0 else 0.0 }
val p = produce(n, n) { _, _ -> 0.0 } val perm = produce(n, n) { _, _ -> 0.0 }
for (j in 0 until perm!!.pointed.size.toInt()) { for (j in 0 until lups.second!!.pointed.size.toInt()) {
println("7 $j") val k = gsl_permutation_get(lups.second!!, j.toULong()).toInt()
val k = gsl_permutation_get(perm, j.toULong()).toInt()
val col = one.columns[k] val col = one.columns[k]
println(p.toGsl()) gsl_matrix_set_col(perm.nativeHandle, j.toULong(), col.toGsl().nativeHandle)
println(col.toList())
gsl_matrix_set_col(p.nativeHandle, j.toULong(), col.toGsl().nativeHandle)
} }
gsl_permutation_free(perm) perm
lu to p
} }
override val l by lazy { override val l by lazy {
VirtualMatrix(lup.first.shape[0], lup.first.shape[1]) { i, j -> VirtualMatrix(lups.first.shape[0], lups.first.shape[1]) { i, j ->
when { when {
j < i -> lup.first[i, j] j < i -> lups.first[i, j]
j == i -> 1.0 j == i -> 1.0
else -> 0.0 else -> 0.0
} }
@ -153,13 +156,28 @@ public class GslRealMatrixContext(internal val scope: AutofreeScope) :
override val u by lazy { override val u by lazy {
VirtualMatrix( VirtualMatrix(
lup.first.shape[0], lups.first.shape[0],
lup.first.shape[1], lups.first.shape[1],
) { i, j -> if (j >= i) lup.first[i, j] else 0.0 } + UFeature ) { i, j -> if (j >= i) lups.first[i, j] else 0.0 } + UFeature
} }
override val p by lazy(lup::second) override val determinant by lazy { gsl_linalg_LU_det(lups.first.nativeHandle, lups.third) }
override val inverse by lazy {
val inv = lups.first.copy()
gsl_linalg_LU_invx(inv.nativeHandle, lups.second)
inv
}
} }
CholeskyDecompositionFeature::class -> object : CholeskyDecompositionFeature<Double> {
override val l: Matrix<Double> by lazy {
val chol = m.toGsl().copy()
gsl_linalg_cholesky_decomp(chol.nativeHandle)
chol
}
}
else -> super.getFeature(m, type) else -> super.getFeature(m, type)
}?.let(type::cast) }?.let(type::cast)
} }
@ -286,37 +304,41 @@ public class GslComplexMatrixContext(internal val scope: AutofreeScope) :
@Suppress("IMPLICIT_CAST_TO_ANY") @Suppress("IMPLICIT_CAST_TO_ANY")
@UnstableKMathAPI @UnstableKMathAPI
public override fun <F : Any> getFeature(m: Matrix<Complex>, type: KClass<F>): F? = when (type) { public override fun <F : Any> getFeature(m: Matrix<Complex>, type: KClass<F>): F? = when (type) {
LupDecompositionFeature::class -> object : LupDecompositionFeature<Complex> { LupDecompositionFeature::class, DeterminantFeature::class -> object : LupDecompositionFeature<Complex>,
private val lup by lazy { DeterminantFeature<Complex>, InverseMatrixFeature<Complex> {
private val lups by lazy {
val lu = m.toGsl().copy() val lu = m.toGsl().copy()
val n = lu.rowNum val n = m.rowNum
val perm = gsl_permutation_alloc(n.toULong()) val perm = gsl_permutation_alloc(n.toULong())
scope.defer { gsl_permutation_free(perm) }
memScoped { val signum = memScoped {
val i = alloc<IntVar>() val i = alloc<IntVar>()
gsl_linalg_complex_LU_decomp(lu.nativeHandle, perm, i.ptr) gsl_linalg_complex_LU_decomp(lu.nativeHandle, perm, i.ptr)
i.value
} }
Triple(lu, perm, signum)
}
override val p by lazy {
val n = m.rowNum
val one = produce(n, n) { i, j -> if (i == j) 1.0.toComplex() else 0.0.toComplex() } val one = produce(n, n) { i, j -> if (i == j) 1.0.toComplex() else 0.0.toComplex() }
val p = produce(n, n) { _, _ -> 0.0.toComplex() } val perm = produce(n, n) { _, _ -> 0.0.toComplex() }
for (j in 0 until perm!!.pointed.size.toInt()) { for (j in 0 until lups.second!!.pointed.size.toInt()) {
println("7 $j") val k = gsl_permutation_get(lups.second!!, j.toULong()).toInt()
val k = gsl_permutation_get(perm, j.toULong()).toInt()
val col = one.columns[k] val col = one.columns[k]
println(p.toGsl()) gsl_matrix_complex_set_col(perm.nativeHandle, j.toULong(), col.toGsl().nativeHandle)
println(col.toList())
gsl_matrix_complex_set_col(p.nativeHandle, j.toULong(), col.toGsl().nativeHandle)
} }
gsl_permutation_free(perm) perm
lu to p
} }
override val l by lazy { override val l by lazy {
VirtualMatrix(lup.first.shape[0], lup.first.shape[1]) { i, j -> VirtualMatrix(lups.first.shape[0], lups.first.shape[1]) { i, j ->
when { when {
j < i -> lup.first[i, j] j < i -> lups.first[i, j]
j == i -> 1.0.toComplex() j == i -> 1.0.toComplex()
else -> 0.0.toComplex() else -> 0.0.toComplex()
} }
@ -325,13 +347,30 @@ public class GslComplexMatrixContext(internal val scope: AutofreeScope) :
override val u by lazy { override val u by lazy {
VirtualMatrix( VirtualMatrix(
lup.first.shape[0], lups.first.shape[0],
lup.first.shape[1], lups.first.shape[1],
) { i, j -> if (j >= i) lup.first[i, j] else 0.0.toComplex() } + UFeature ) { i, j -> if (j >= i) lups.first[i, j] else 0.0.toComplex() } + UFeature
} }
override val p by lazy(lup::second) override val determinant by lazy {
gsl_linalg_complex_LU_det(lups.first.nativeHandle, lups.third).toKMath()
}
override val inverse by lazy {
val inv = lups.first.copy()
gsl_linalg_complex_LU_invx(inv.nativeHandle, lups.second)
inv
}
} }
CholeskyDecompositionFeature::class -> object : CholeskyDecompositionFeature<Complex> {
override val l by lazy {
val chol = m.toGsl().copy()
gsl_linalg_complex_cholesky_decomp(chol.nativeHandle)
chol
}
}
else -> super.getFeature(m, type) else -> super.getFeature(m, type)
}?.let(type::cast) }?.let(type::cast)
} }